Rigorous confidence bounds for MCMC under a geometric drift condition

DOI10.1016/j.jco.2010.07.003zbMath1210.65004arXiv0908.2098OpenAlexW1988442079WikidataQ96748976 ScholiaQ96748976MaRDI QIDQ617654

Wojciech Niemiro, Krzysztof Łatuszyński

Publication date: 21 January 2011

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.2098

zbMATH Keywords

confidence intervalsMarkov chain Monte Carlo methodnumerical examplesmean square errordrift conditionmedian tricksimulation cost

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (15)

Exponential inequalities for unbounded functions of geometrically ergodic Markov chains: applications to quantitative error bounds for regenerative Metropolis algorithms ⋮ Information geometry approach to parameter estimation in Markov chains ⋮ Hit-and-Run for Numerical Integration ⋮ Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques ⋮ On a Metropolis-Hastings importance sampling estimator ⋮ Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors ⋮ Complexity results for MCMC derived from quantitative bounds ⋮ Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings ⋮ Dimension‐independent Markov chain Monte Carlo on the sphere ⋮ CLTs and asymptotic variance of time-sampled Markov chains ⋮ Nonasymptotic bounds on the estimation error of MCMC algorithms ⋮ Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions ⋮ Markov chain Monte Carlo estimation of quantiles ⋮ Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm ⋮ Error bounds of MCMC for functions with unbounded stationary variance

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